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- W1602585380 abstract "Correct risk measurement is fundamentally important to asset pricing. However, one of the most frequently used measures, variance, has been criticized because it establishes a symmetric response to the upside and downside movements of stock returns. This could be one reason for rejecting the traditional CAPM. The purpose of this paper is to analyze whether the Lower Partial Moment – CAPM represents a better empirical approximation to the Spanish stock market since it takes into account the semivariance of an asset with respect to the market portfolio as an explanatory factor for risk premiums. Our main results indicate the existence of an asymmetric response of stock returns in Bull and Bear markets and show that risk premium dynamics play a relevant role in asset pricing." @default.
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- W1602585380 date "2007-01-01" @default.
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- W1602585380 title "Análisis media-semivarianza: una aplicación a las primas de riesgo en el mercado de valores español" @default.
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